Unable to create USB bootable media

I'm trying to create a Windows PE USB, UEFI bootable media. I checked the "Download WinPE environment. I click Next and select USB Boot Device. I get the format warning and select Yes. The window closes and nothing happens.

I just again tried to make a USB bootable UEFI WinPE memory stick, and also tried making an ISO file after accidentally hitting my machine's reset button. I was planning on doing it the next time I rebooted purposefully, but my foot did it for me. Neither of the functions work - the window just closes. Windows logs under Computer Management for both Application and System don't any errors or anything else associated with the attempted operation.

On my machine, in order to use the WinPE CD, I have to start from power-up and catch the "Press any key to boot from CD" message. If I don't, I get a message to insert a bootable device because it never retries the CD.